Variance reduction techniques for value-at-risk with heavy-tailed risk factors

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin. Variance reduction techniques for value-at-risk with heavy-tailed risk factors. In Winter Simulation Conference. pages 604-609, 2000. [doi]

Authors

Paul Glasserman

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Philip Heidelberger

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Perwez Shahabuddin

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